Your Week’s Volatility Market Commentary — Make Information Your Edge

Dip Buyers Saved the Week Again. What If They Don’t Show Up?

by Scott Nations | Nov 22, 2025 | Volatility Insights

The Weekly Takeaway:

The S&P 500 lost 1.95% this week as AI names fell. The index saw extraordinary intraday volatility. It is now up 12.26% for the year;
The Nasdaq-100 lost 3.07% this week. It would have been worse but for the 1.62% rally from Friday morning’s low. That was the third Friday in a row which witnessed a strong reversal from early lows thanks to investors “Buying the dip.” The index is now up 15.36% for the year;
S&P 500 VolDex (ticker VOLI) closed at 19.60, an increase of another 17.30% for the week. VOLI is now up 57.05% from its low on October 27;
S&P 500 TailDex (ticker TDEX) closed at 21.41, an increase of 29.60% for the week. Important historical metrics for all our indexes including average, median, and critical percentile closes are available to subscribers at NationsIndexes.com;
S&P 500 RiskDex, a measure of downside concern versus upside optimism, ended the week at 5.52, an increase of 41.62%. It is now at the 70th percentile of its 52-week range;
All of our volatility indexes on the S&P 500 closed higher on the week with the exception of 30- and 7-Day CallDex which both fell as traders sold out-of-the-money call options to get downside exposure;
VolDex on the Nasdaq-100 rose by 11.97% to close at 25.19;
TailDex on the Nasdaq-100 rose by 25.15% to close at 21.02 for the week. It closed at 23.67 on Thursday. That is the first close above 23 since April. You can learn more about TailDex at Learn More About TailDex;
The yield on Treasury notes fell by 8.5 basis points to close at 4.063%;
Bitcoin had a horrible week, falling 10.72% after declines of 8.68% and 5.79% in the previous two weeks. Bitcoin volatility spiked with Bitcoin VolDex gaining 14.42% to close at 58.75 after trading above 60 on Friday. Bitcoin TailDex gained 40.74% on the week;
VolDex was higher for nearly every equity we cover. Only VolDex on NVDA, LLY, and WMT fell. NVDA VolDex and WMT VolDex fell due to the passing of the earnings catalyst;
The Nations Indexes Optimism Index® fell by 19.42% to close at 59.25. It traded below 50 on Friday morning. Our Optimism Index is always available in real-time on our home page at NationsIndexes.com;
You can always learn more about all our indexes at Learn More About Our Indexes;
We have added an interesting segment to our weekly Volatility Insight. Trade Spotlight will describe an interesting trade opportunity based on our index values and other metrics like readily available momentum measures. Be certain to check it out. This week we revisit an unusual setup in LLY.

Equity Index Volatility:

The S&P 500 lost 1.95% for the week. This is the third consecutive week that saw a significant weekly loss tempered by a rally on Friday. The week saw significant intraday volatility including a trading range of 236 points on Thursday and 138 points on Friday.

Every one of our S&P 500 volatility metrics was higher on the week with the exceptions of 30-Day CallDex and 7-Day CallDex. You can see details for the entire S&P 500 option skew below in our Option Window®.

RiskDex rose by 41.62% and closed at the 70th percentile of its 52-week range.

You can learn more about RiskDex here.

Historical metrics (Average, median, 10th percentile, 25th percentile, 75th percentile, and 90th percentile) for all out indexes are available to subscribers at NationsIndexes.com.

Why It Matters…Historical data for all our indexes is available to subscribers at the Everything! level and they allow option traders to understand the context of the current option pricing environment – the current environment, while not unique, is unusual. Volatility is mean-reverting and that is a phenomenon traders can take advantage of in both directions. But you have to understand what normal is, what the “mean” is, in order to do so.

Nasdaq-100 VolDex rose by 11.97% to close at 26.19. That is its highest level since April.

Nasdaq-100 CallDex fell by 0.87% to close at 28.41.

Why It Matters…Traders have to have the objective data provided by our indexes to trade in a way that doesn’t rely on hunches or guesses.

Nations Option Window®:

Our Option Window® graphic shows the impact of buying and selling of S&P 500 options at each point on the skew. Moneyness as defined by standard deviations from at-the-money is constant. Each tenor is always precisely 30-days to expiration.

You can see that option buying predominated as fear spread. The only strikes being sold were call strike prices above 0.6 standard deviations above at-the-money. That corresponds to approximately 6800 in the S&P 500.

Nations Investor Optimism Index®:

The Investor Optimism Index® fell by 19.42% to close at 59.25. It traded below 50 on Friday morning.

The index takes into account the current levels of S&P 500 VolDex, TailDex, and RiskDex and compares them to their rolling 2-year ranges. It is plotted on a 0 to 100 scale.

Our Optimism Index is now available in real-time on our home page at Nations Optimism Index.

VolDex Term Structure:

The Nations TermDex® measure of VolDex term structure illustrates S&P 500 VolDex for various tenors. It provides insight into both near-term and longer-term expectations for volatility in the S&P 500.

The S&P 500 VolDex term structure ended the week nearly flat after being heavily inverted earlier in the week. You can see Friday’s closing levels in red, Thursday’s in black, and the other days of the week in gray.

Term structure displays a “bump” at the 30-day tenor because that catches the next Fed meeting on December 10. The market believes the prospects for an interest rate cut at that meeting are in flux and that is driving some equity market volatility. The market believed the odds of such a cut were 71% on Friday’s close, down from 96% a month ago but up from 44% a week ago.

1DTE Options:

S&P 500 1-Day VolDex rose by 23.32% to end the week at 15.31. However, S&P 500 1-Day VolDex closed at 31.79 on Thursday so very short-term volatility is itself very volatile.

Very short-dated volatility measures which use a variance swap methodology, as 1-day VIX does, inject significant error into the resulting measure because of the way out-of-the-money options trade in the hours before expiration. The VolDex at-the-money methodology is particularly suited for these very short-dated tenors.

Other Asset Volatility:

Treasury Bonds and Notes:

The yield on 10-year Treasury notes fell by 8.5 basis points this week as equity market weakness and realized volatility in equities drove buying in treasuries.

Volatility metrics for Treasury bonds were generally lower as the catalyst of jobs data passed. The spike in Treasury Bond TailDex is noteworthy and we will watch it closely during the coming week.

Treasury Bond implied volatility remains VERY low. Treasury Bond VolDex closed at just the 11th percentile of its 52-week range. Long volatility structures should be favored and short volatility structures should be avoided.

Why It Matters…We still believe the ability to buy at-the-money Treasury bond options at historically low prices is a unique opportunity given the risks currently present. While Treasury bond RiskDex is in the lower half of its 52-week range, CallDex is at just the 10th percentile, up from the 4th percentile three weeks ago. Long Treasury bond call options can be a cheap hedge for an equity portfolio since bond prices tend to rally in the face of a significant decline in equity prices as we saw this week..

Bitcoin:

Bitcoin had another miserable week and closed at $84,625, a decline of 10.72%. It traded as low as $80,750 on Friday morning.

Bitcoin VolDex traded as high as 61.02 on Friday before pulling back to close at 58.75 which was a gain of 14.42% for the week.

Precious Metals:

Gold fell by 0.63% this week.

Option volatility in gold rose dramatically last week so it should not be surprising that volatility generally fell this week.

Last week we pointed out: “Gold VolDex, CallDex, and PutDex are now all above the 50th percentile of their respective 52-week ranges. Defined-risk strategies that are short gold volatility are once again reasonable alternatives for directional option traders.”

That certainly worked for traders who were short gold volatility this week.

Equities:

We have expanded the list of single names we cover to include not only the most dynamic stocks in the S&P 500 and the stocks with the highest option volume, but also the largest names in the S&P 500.

Performance of the equities we cover was disappointing with only GOOG, LLY, and WMT gaining ground this week.

We have begun illustrating how many traders use our indexes to create smarter trades. We post the trade setups below on our Trade Spotlight section and, more importantly, we post them in real time on “X”. None of the trades we mention on “X” at @Nations_Indexes are trade recommendations.

VolDex was similarly one-sided with VolDex on every name except NVDA, LLY, and WMT gaining ground. NVDA VolDex and WMT VolDex fell thanks to their respective earnings catalysts passing.

TailDex was higher in the vast majority of equity names with only AMZN, GOOG, LLY, and WMT showing declines, often due to the passing of catalysts.

TailDex was higher by more than 25% for seven names (AMD, AAPL, MSFT, NVDA, TSLA, META, and JPM) with MSFT TailDex leading the pack with an increase of 77.15%.

TailDex can be used as a gauge of real fear so we watch it closely.

Last week we highlighted the increase in volatility on Broadcom (AVGO) and AVGO VolDex rallied even more, gaining another 9.55% to close at 62.47, the 94th percentile of its 52-week range, after making a new 52-week closing high of 64.27 on Thursday. AVGO is due to report earnings on December 11, 2025 so our 30-Day metrics will catch that release which accounts for a sizeable portion of this rally in implied volatility. Defined-risk structures which are short volatility are interesting.

TSLA was also interesting this week as shares fell 3.28% and option traders got very defensive. TSLA TailDex rose by 39.40% to close at 26.29 and TSLA RiskDex rose by 31.98% to close at 1.27. That was its first close above 1.00 since the first week of June.

We’ll continue to comment during the week via our X account, @Nations_Indexes.

Trade Spotlight:

This week’s Trade Spotlight revisits our option collar on LLY which has been in the news regarding its Zepbound anti-obesity drug and potential changes in pricing. This is not a trade recommendation but is instead an illustration of how many traders use our metrics to identify trade opportunities.

At 1:57 p.m. on November 14, LLY was trading at 1031.57 and its Relative Strength Index (RSI) was above 80 signifying that the stock was strongly overbought following a furious rally. At the same time, LLY RiskDex was at 0.98, the 18th percentile of its recent range. Since RiskDex was below 1.00 it was displaying call skew rather than the put skew which is typical for equities.

We illustrated how one might use this information to protect gains in LLY; in the December 19 expiration, the 1160 covered call could have been sold at 10.40 while the 930 put could have been bought at 10.55. The trade would have cost a net of 0.15. While the owner’s shares would be called away if LLY is above 1160 at that expiration, they would be protected if LLY was below 930 then. LLY was last below 930 as recently as November 7.

LLY has continued to rally and closed on Friday at 1059.70 but since the call option strike price is still $100 away there is nothing to do with this trade. It hasn’t worked out but owners of LLY aren’t complaining. If LLY is between 1059 and 1160 at option expiration we’ll simply let the collar expire worthless.

Again, this is not a trade recommendation.

We’ll continue to watch the trade and look for other interesting trade setups.

Scott’s Weekly Commentary:

Thank goodness once again for dip buyers but what happens when they don’t show up?

The recent ramp in our volatility metrics was a great leading indicator of the weakness and extraordinary intraday volatility we saw this week.

It certainly seems like the risk is to the downside given the horrible break on Thursday after an initially positive reaction to NVDA’s earnings. A little pessimism tempers all the optimism of the year since April.

Unfortunately, the next three weeks are going to be spent handicapping the coming Fed meeting. The market’s expectations regarding a rate cut have been nearly as volatile as the S&P 500 was this week with the odds at 96% a month ago but only 44% a week ago. Investors pay too much attention to the month-to-month moves of the Fed because it’s easy to focus on. But the Fed has limited impact on the long-term direction of the stock market – interest rates are going to go where they want and the Fed can only tweak them slightly in the short-term.

One bit of good news for traders is that our volatility metrics are returning to more normal levels from the very low levels we saw this summer. That means a variety of option strategies are reasonable. The exception is implied volatility in Treasuries which remains very low. Treasuries can be a great hedge against a selloff in equities and with Treasury Bond CallDex at 30.48, the 10th percentile of its 52-week range, speculative long positions in out-of-the-money calls in something like TLT are interesting.

Everyone at Nations Indexes hopes you have a healthy and profitable week.

Scott